Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 4 | 6 | 4 |
| Score | -2.44 | 0.3 | -1.54 |
| Market Cap (Millions USD) | 85.37 | 79.68 | 109.99 |
| Predicted Beta | 0.67 | 0.68 | 0.68 |
| Idiosyncratic Volatility | 1.54 | 1.51 | 1.5 |
Annualized return and volatility
| IGN | |
|---|---|
| Annualized Return | 0.0298 |
| Annualized Std Dev | 0.2841 |
| Annualized Sharpe (Rf=0%) | 0.1049 |
Row
Daily Return Statistics
| IGN | |
|---|---|
| Observations | 4690.0000 |
| NAs | 424.0000 |
| Minimum | -0.1017 |
| Quartile 1 | -0.0085 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0093 |
| Maximum | 0.1155 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0179 |
| Skewness | 0.0842 |
| Kurtosis | 3.8814 |
Downside Risk
| IGN | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0127 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0173 |
| Downside Deviation (Rf=0%) | 0.0125 |
| Downside Deviation (0%) | 0.0125 |
| Maximum Drawdown | 0.7580 |
| Historical VaR (95%) | -0.0294 |
| Historical ES (95%) | -0.0417 |
| Modified VaR (95%) | -0.0273 |
| Modified ES (95%) | -0.0402 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-12-07 | 2002-10-08 | 2004-01-20 | -0.7580 | 543 | 213 | 330 |
| 2007-10-24 | 2009-03-09 | 2011-02-11 | -0.6361 | 848 | 354 | 494 |
| 2011-02-14 | 2012-07-17 | 2014-12-19 | -0.3952 | 987 | 364 | 623 |
| 2004-01-21 | 2005-04-15 | 2006-03-03 | -0.3544 | 541 | 316 | 225 |
| 2001-08-29 | 2001-10-02 | 2001-11-16 | -0.3246 | 54 | 21 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IGN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.0 | -3.1 | 1.7 | 0.0 | 0.0 | -1.4 |
| 2002 | -2.2 | 5.3 | 2.0 | -1.1 | 0.0 | -5.0 | -2.2 | 0.0 | 4.9 | 3.8 | 0.0 | 0.0 | 5.1 |
| 2003 | 0.0 | 0.0 | 0.7 | -0.4 | 0.0 | 2.9 | 0.8 | 0.0 | 0.4 | 0.0 | 1.0 | 0.0 | 5.5 |
| 2004 | 0.0 | 0.8 | 2.1 | 0.0 | 0.4 | -2.6 | 0.0 | 1.0 | 2.8 | -0.4 | 2.1 | 0.0 | 6.4 |
| 2005 | 0.0 | 2.0 | -1.2 | 0.0 | 1.4 | 0.3 | 0.1 | -0.4 | 0.0 | -0.8 | 2.2 | 0.0 | 3.6 |
| 2006 | 1.4 | 4.2 | 0.0 | -0.9 | 3.0 | 0.0 | -2.7 | -0.2 | 0.0 | -1.5 | -1.5 | 0.0 | 1.7 |
| 2007 | 0.3 | -0.8 | 0.0 | 0.2 | 0.6 | 0.0 | 0.9 | 0.0 | 1.2 | -2.4 | 0.0 | 0.0 | -0.2 |
| 2008 | 1.5 | 0.0 | 3.5 | 1.6 | 0.0 | 0.5 | -0.4 | 0.0 | -2.5 | 0.0 | -8.1 | 0.0 | -4.3 |
| 2009 | 0.0 | 0.0 | 4.3 | 0.8 | 4.2 | 0.9 | 0.0 | -2.1 | -3.4 | 0.0 | 2.2 | 0.0 | 6.8 |
| 2010 | 1.6 | 1.2 | -0.5 | 0.0 | -3.7 | -0.9 | 0.0 | 2.9 | 0.0 | -0.8 | 2.1 | 0.0 | 1.7 |
| 2011 | 1.4 | -1.5 | -2.4 | 0.0 | -3.6 | 1.8 | -1.4 | -0.6 | 0.0 | -3.4 | -0.5 | 0.0 | -9.8 |
| 2012 | 1.7 | 0.2 | 0.0 | -0.4 | -3.0 | 0.0 | -0.4 | 0.0 | -0.5 | 3.8 | 0.0 | 0.0 | 1.3 |
| 2013 | 0.3 | -0.5 | -1.2 | -2.5 | 0.0 | 0.3 | 1.4 | 0.0 | 1.2 | -0.6 | 0.0 | 0.0 | -1.7 |
| 2014 | 0.0 | 0.0 | 2.0 | -0.6 | 0.0 | 0.6 | -1.6 | 0.0 | -1.6 | 0.0 | -0.8 | 0.0 | -2.0 |
| 2015 | 0.0 | 0.0 | -0.8 | 1.0 | 0.0 | 0.6 | 0.0 | -2.1 | -0.3 | 0.0 | 0.5 | 0.0 | -1.1 |
| 2016 | 0.1 | 1.2 | -0.4 | 0.0 | 0.4 | -0.3 | -0.2 | 1.2 | 0.0 | -0.2 | -1.7 | 0.0 | 0.0 |
| 2017 | -0.2 | -1.1 | 0.0 | 0.2 | 3.9 | 0.0 | 0.8 | 0.9 | 0.0 | 0.0 | -0.7 | 0.0 | 3.9 |
| 2018 | 0.7 | -1.4 | 0.0 | -1.2 | 1.5 | 0.0 | -0.2 | 0.0 | -1.6 | 2.8 | 0.0 | 0.0 | 0.6 |
| 2019 | 0.5 | 0.1 | 2.0 | -0.9 | 0.0 | 1.4 | -1.7 | 0.0 | -3.6 | -1.3 | 0.0 | -0.1 | -3.6 |
Row
Rolling Performance Chart
Snail Trail Chart
